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u/1ncehost
3 days ago
Strategy
Various high performing switchboards OOS last year
I'm one of the top creators on Composer with hundreds of portfolios using my public algos (search for Curved). I have many private ones also and figured I'd dump some high performing ones here. The 3-15 year backtests (some rely on newer symbols) on these are also exceptionally high. Having watched this sub for some time, I suspect comments will be full of suspicion. The suspicion is justified, but you are welcome to look up the public ones if curious.
I think the biggest criticisms should be that its unknown whether these algos are regime based, and also how much they can scale, given they collectively have only about one year OOS and unknown AOM. I think its likely they benefit from small inefficiencies that generally won't scale, but I long date backtest, and take measures to prevent survivorship bias, so I am generally confident they are not regime based. I design for low market and inter-sleeve correlation, so you'd want to run these rebalancing against other sleeves to maximize actual performance anyway.
I personally am suspicious of composer, so I reimplemented composer's execution system and run these and about 30 more algos on my own server with my own funds and have representative results.
In addition to composer switchboards, I also run some other types of algos to rebalance against, but I personally am a fan of switchboards because the determinism adds a layer of assurance, and daily or longer trading intervals increasingly disarm adverse selection bias.
I perform a lot of signal research, some automated, and use highly non-traditional methodology to select signals. Generally I believe that the non traditional signal selection is why I find systemic market inefficiencies that others miss. Traditionalism can be said to be a risk aversion bias which classically trained and corporate algo researchers have, and I believe my methodologies generally exploit this bias. That's a slippery slope because most non-traditional ideas are not sound, but what I'm saying is that not all traditional ideas are sound either, and I think that is especially true with game theory included.
Anyway, if any of this was interesting to you, I'd be interested in hearing your critiques, thoughts, or questions. I know it might come off as a brag, but thats just my autism showing. Its more supposed to be a conversation starter, and I am genuintely curious if anyone spends time thinking about the biases I mentioned.